Keyword: correlation

U.S. Asset Correlations and Fed Balance Sheet Trends The correlations between U.S. asset returns and Fed balance sheet growth are generally inconsistent and dimishing over time. Image: J.P. Morgan

Correlation of VIX with U.S. 10-Year TIPS Yields The correlation of the VIX with U.S. 10-year TIPS yields has turned negative, as it was during the dot-com bubble burst, the Great Financial Crisis, the European debt crisis,… Image: Goldman Sachs Global Investment Research

Historical Correlations of Asset Price Returns to Central Bank Net Cuts in Policy Rates The correlation between assets price returns and central bank rate cuts has been higher after the Great Financial Crisis. Image: BofA Merrill Lynch Global Research

Correlation – Euro Equities and Economic Surprise The correlation between euro equities and economic surprise has diverged recently. Image: Oxford Economics

Hedge Fund Correlation with a 60/40 Portfolio Correlations between hedge funds and 60/40 portfolios are sometimes high and at other times low. In general, hedge funds can play a role in risk reduction. Image: J.P. Morgan Asset Management

Correlation Between Value and Momentum The correlation between value and momentum is near record lows. Below this level, value outperformed momentum over the next 250 days (77% of the time) since 1986. Image: BofA Merrill Lynch US Equity & US Quant Strategy

U.S. Energy Balance Leads Oil-Dollar Correlation Interesting chart suggesting that the U.S. real energy balance leads the oil-dollar correlation by three years. Image: Oxford Economics, Macrobond

VIX and MOVE Rolling Correlation Periods of high correlation between safe and risk assets are generally not good for balanced portfolios, because diversification is hard to find. Image: Arbor Research & Trading LLC

U.S. Equity and Bond Correlation The potential risk for a 60/40 portfolio is that the negative correlation between U.S. equity and bond could flip. Image: BofA Merrill Lynch

Correlation Matrix This grid shows the correlation between different asset classes. It is very useful for asset allocation. Image: Fidelity Investments